Risk, In Light of the Recent Market Downturn

摘要

Did we learn anything as a result of the severe market downturn we experienced in 2008 and 2009? We have seen countless books come out to describe various aspects of the crisis, from winners, to losers, to contributors, but what have we learned from a risk perspective? This article will briefly touch on some of the changes we've seen and comment on a couple new measures that are gaining ground. It is not intended to be an exhaustive review but rather mainly commentary, insights, and ideas. Clearly, some individuals have decided that the way we measure and manage risk is severely flawed because our measures didn't help. Taleb (2008), for example, pointed out how the Value at Risk (VaR) metric did a horrendous job, and concludes by suggesting that any attempt at predicting risk is a waste of one's time. And on LinkedIn there has been a discussion on "what will replace VaR?," thus suggesting that its days are either ending, or that at least it needs some augmentation.